Risk Aversion in a Mixed-Integer Nonlinear Approach to Support Decision-Making for a Hydro Power Producer

Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/542

Título:	Risk Aversion in a Mixed-Integer Nonlinear Approach to Support Decision-Making for a Hydro Power Producer
Autor:	Catalão, João Paulo da Silva Pousinho, Hugo Miguel Inácio Mendes, Victor
Palavras-chave:	Decision Support Hydro Power Producer Mixed-Integer Nonlinear Programming Risk Aversion
Data:	Jun-2010
Editora:	PRAISE WORTHY PRIZE SRL
Citação:	Catalão JPS, Pousinho H M I, Mendes V M F. Risk Aversion in a Mixed-Integer Nonlinear Approach to Support Decision-Making for a Hydro Power Producer. International Review of Electrical Engineering-IREE. 2010; 5 (3): 1317-1323 Part B.
Relatório da Série N.º:	3;
Resumo:	In this paper, a mixed-integer nonlinear approach is proposed to support decision-making for a hydro power producer, considering a head-dependent hydro chain. The aim is to maximize the profit of the hydro power producer from selling energy into the electric market. As a new contribution to earlier studies, a risk aversion criterion is taken into account, as well as head-dependency. The volatility of the expected profit is limited through the conditional value-at-risk (CVaR). The proposed approach has been applied successfully to solve a case study based on one of the main Portuguese cascaded hydro systems.
Peer review:	yes
URI:	http://hdl.handle.net/10400.21/542
ISSN:	1827-6660
Aparece nas colecções:	ISEL - Eng. Electrotécn. - Artigos

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